Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 3 5 3
Score -4.15 -1.42 -4.09
Market Cap (Millions USD) 2253.48 2179.28 2060.35
Predicted Beta 0.73 0.75 0.75
Idiosyncratic Volatility 1.5 2.27 2.44

Annualized return and volatility

SLYV
Annualized Return 0.1060
Annualized Std Dev 0.2115
Annualized Sharpe (Rf=0%) 0.5012

Row

Daily Return Statistics

SLYV
Observations 4920.0000
NAs 194.0000
Minimum -0.1037
Quartile 1 -0.0059
Median 0.0005
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0073
Maximum 0.1078
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0133
Skewness -0.0625
Kurtosis 6.5986

Downside Risk

SLYV
Semi Deviation 0.0096
Gain Deviation 0.0094
Loss Deviation 0.0100
Downside Deviation (MAR=210%) 0.0142
Downside Deviation (Rf=0%) 0.0093
Downside Deviation (0%) 0.0093
Maximum Drawdown 0.6132
Historical VaR (95%) -0.0197
Historical ES (95%) -0.0311
Modified VaR (95%) -0.0199
Modified ES (95%) -0.0318
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2011-02-07 -0.6132 945 455 490
2018-08-23 2018-12-24 NA -0.2762 344 87 NA
2002-05-06 2002-10-09 2003-07-08 -0.2705 303 112 191
2011-07-08 2011-10-03 2012-02-01 -0.2679 146 62 84
2015-06-24 2016-02-11 2016-07-11 -0.2035 268 164 104

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec SLYV
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA 0.0 0.0 0.0 NA
2001 -0.5 -1.0 0.0 -0.1 0.4 0.0 0.0 0.0 -1.7 1.0 0.0 0.0 -1.9
2002 0.0 0.7 -0.6 0.7 0.0 -0.9 0.9 0.0 1.2 1.2 0.0 0.0 3.2
2003 0.0 0.0 1.0 -0.2 0.0 0.5 -1.8 0.0 2.0 0.0 1.4 0.0 2.9
2004 0.0 1.4 0.9 0.0 0.4 -1.2 0.0 1.2 2.1 0.4 1.5 0.0 6.8
2005 0.9 1.0 -0.9 0.0 0.9 -0.2 0.7 1.6 0.0 -1.0 1.8 0.0 4.9
2006 0.4 1.2 0.0 -0.3 1.1 0.0 -1.0 -0.1 0.0 -1.1 -0.4 0.0 -0.2
2007 0.7 -0.1 0.0 0.3 0.7 0.0 0.7 0.0 1.9 -3.5 0.0 0.0 0.6
2008 2.5 0.0 3.2 2.4 0.0 -0.1 0.3 0.0 -0.5 0.0 -7.5 0.0 -0.1
2009 0.0 0.0 2.1 0.7 3.9 1.9 0.0 -2.8 -2.7 0.0 1.5 0.0 4.5
2010 1.0 1.1 1.1 0.0 -3.0 -0.6 0.0 3.9 0.3 -0.7 1.9 0.0 5.0
2011 2.2 -1.4 0.9 0.0 -2.7 1.7 -0.7 -2.0 0.0 -4.0 -0.9 0.0 -6.8
2012 2.4 1.1 0.0 -0.4 -2.7 0.0 -1.9 0.0 0.1 1.3 0.0 0.0 -0.2
2013 0.9 0.3 -0.8 -2.2 0.0 2.2 1.4 0.0 0.9 -0.6 0.0 0.0 2.1
2014 0.0 0.0 1.0 -0.5 0.0 1.3 -0.2 0.0 -1.2 0.0 -1.0 0.0 -0.5
2015 0.0 0.0 -0.1 0.5 0.2 0.3 0.0 -2.8 -0.5 0.0 0.7 0.0 -1.7
2016 -0.4 1.4 -0.3 0.0 0.5 0.8 -0.3 -0.2 0.0 -1.2 -0.2 0.0 0.0
2017 -0.2 1.8 0.0 0.2 1.9 0.0 0.2 0.9 0.0 -0.6 -0.6 0.0 3.8
2018 0.2 -0.3 0.0 0.2 0.6 0.0 -0.4 0.0 -1.6 1.8 0.0 0.0 0.6
2019 0.1 0.6 1.5 -1.1 0.0 0.2 -1.9 0.0 -1.9 1.9 0.0 0.2 -0.4

Row

Rolling Performance Chart

Snail Trail Chart